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q-fin.CP2014
Currency Derivatives Pricing for Markov-modulated Merton Jump-diffusion Spot Forex Rate
Anatoliy Swishchuk, Maksym Tertychnyi, Winsor Hoang
We derived similar to Bo et al. (2010) results but in the case when the dynamics of the FX rate is driven by a general Merton jump-diffusion process. The main results of our paper…
q-fin.CP2014
Pricing Currency Derivatives with Markov-modulated Levy Dynamics
Anatoliy Swishchuk, Maksym Tertychnyi, Robert Elliott
Using a Levy process we generalize formulas in Bo et al.(2010) for the Esscher transform parameters for the log-normal distribution which ensure the martingale condition holds for…